First of all, thank you for very interesting observations. In the above example, did you mean that the machine was doing the < 5 contract...
Just looked at my data from yesterday, indeed, 28586 contracts traded on the bid in that minute (2:25PM-2:26PM). That is serious volume, however,...
Hi gmst, one thing I know of could be a very good cheap option for you is to have an account open with AMP futures with CQG data feed fed to NT...
DOM, try volatility adjusted stop with a shorter lookback. I once tested 'predicted' volatility vs realized volatility (ATR) and it came out that...
Gmst is right. At least you could say which pairs you looked at. I am surprised 1 min data is enough for you. Is your approach automated? As in...
Which pairs did you test? Did you account for fills being on the right bid/ask side?
Are you using actual traded volume or any other 'order flow' related quantity in your analysis? If yes, IB feed will not be sufficient. You can...
You are right, I am thinking of getting rid of my current plan altogether and find the cheapest one possible. Just keep it as coverage for...
I was just notified that my family's health insurance premium is going op ~50% in 2014 due to 'Affordable care act'. Reasons citing the 'change'...
When a stop is triggered, it would add to the pressure but here someone provided additional liquidity (absorbed a stop order), so the additional...
As far as your first question, I don't know it for certain-would like to know for certain. But this is what I was told by IQFeed people....
I use IQFeed data - via their api, so it's not broker data. They claim not to filter the data as they get them directly from the exchange. Their...
I am interested in learning some nuances about how orderbook (DOM) updates along with time and sales updates might be affected during 'fast...
Good question but probably it's going to take some effort. You have to find a 'normalization' procedure that will allow for comparison of...
You can create a 'plugin', dynamically loaded dll for each broker's api with a common interface communicating with those apis covering the...
That comes to about 4 ticks per contract per trade net win. Is that roughly in line with your backtests?
I think that it's just that they started testing it live at a specific time. Usually it goes on for about 30 minutes. Friday they started at...
That volume is true since it actually happened, I probably shouldn't have indicated that I don't consider it 'true'... but it's purpose is to make...
I watch footprint chart and know what volume is usually traded at a given price (within a given time frame-in this case one minute time frame)....
Did any of traders of 6E notice that since last Friday (11/30/2012) there seems to be a new market making algo in action. You must have noticed it...
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